Akbar, Muhammad, Ullah, Ihsan, Ali, Shahid and Rehman, Naser (2024). Adaptive market hypothesis::A comparison of Islamic and conventional stock indices. International Review of Economics & Finance, 89 , pp. 460-477.
Abstract
We assess the informational efficiency of nine Dow Jones Islamic market indices and their counterpart conventional Morgan Stanley indices using data from 1996 to 2020. We test the martingale difference hypothesis of no return predictability over time and assess the adaptive market hypothesis over different market conditions. We find that the null is rejected in several periods in line with the adaptive market hypothesis for both Islamic and conventional stock indices. However, we do not observe any significant differences in return predictability between Islamic and conventional stocks in different market conditions, including the financial crisis of 2007–08 and the COVID-19 pandemic.
| Publication DOI: | https://doi.org/10.1016/j.iref.2023.06.020 |
|---|---|
| Divisions: | College of Business and Social Sciences > Aston Business School College of Business and Social Sciences > Aston Business School > Economics, Finance & Entrepreneurship |
| Additional Information: | Copyright © 2023. This manuscript version is made available under the CC-BY-NC-ND 4.0 license https://creativecommons.org/licenses/by-nc-nd/4.0/ |
| Publication ISSN: | 1059-0560 |
| Last Modified: | 23 Dec 2024 08:54 |
| Date Deposited: | 25 Jul 2023 14:12 |
| Full Text Link: | |
| Related URLs: |
https://www.sci ... 1867?via%3Dihub
(Publisher URL) |
PURE Output Type: | Article |
| Published Date: | 2024-01 |
| Published Online Date: | 2023-07-13 |
| Accepted Date: | 2023-06-22 |
| Authors: |
Akbar, Muhammad
(
0000-0003-0463-6105)
Ullah, Ihsan Ali, Shahid Rehman, Naser |
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